Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach

Yoram Kroll; Moshe Ben-Horin

doi:doi:10.11648/j.ijefm.20140206.14

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Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach

Yoram Kroll, Moshe Ben-Horin

Published in International Journal of Economics, Finance and Management Sciences (Volume 2, Issue 6)

Received: 16 February 2014 Accepted: 25 April 2014 Published: 5 December 2014

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Abstract

This paper proposed optimal equilibrium portfolio algorithm for valuing assets. When mean variance criterion is assumed, the proposed procedure and the conventional CAPM yield identical valuations. When a downside risk measures are employed and the distributions are asymmetric, the proposed algorithm and the three moments extensions of CAPM may yield close, but not necessarily identical, valuations. Our semi-variance results are identical to those of Bawa& Lindenberg, but in contrast to those of Estrada's downside risk extension of CAPM. The impact on valuation of "Mean Variance Preserving Shifts" and asymmetrical information regarding future cash flows are demonstrated by the proposed model.

Published in	International Journal of Economics, Finance and Management Sciences (Volume 2, Issue 6)
DOI	10.11648/j.ijefm.20140206.14
Page(s)	319-331
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2014. Published by Science Publishing Group

Keywords

Cash Flow Valuation, Semi-Variance, VaR, AVaR, DCF, Asymmetric Information, Stochastic Dominance

References

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APA Style

Yoram Kroll, Moshe Ben-Horin. (2014). Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach. International Journal of Economics, Finance and Management Sciences, 2(6), 319-331. https://doi.org/10.11648/j.ijefm.20140206.14

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ACS Style

Yoram Kroll; Moshe Ben-Horin. Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach. Int. J. Econ. Finance Manag. Sci. 2014, 2(6), 319-331. doi: 10.11648/j.ijefm.20140206.14

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AMA Style

Yoram Kroll, Moshe Ben-Horin. Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach. Int J Econ Finance Manag Sci. 2014;2(6):319-331. doi: 10.11648/j.ijefm.20140206.14

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@article{10.11648/j.ijefm.20140206.14,
  author = {Yoram Kroll and Moshe Ben-Horin},
  title = {Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {2},
  number = {6},
  pages = {319-331},
  doi = {10.11648/j.ijefm.20140206.14},
  url = {https://doi.org/10.11648/j.ijefm.20140206.14},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20140206.14},
  abstract = {This paper proposed optimal equilibrium portfolio algorithm for valuing assets. When mean variance criterion is assumed, the proposed procedure and the conventional CAPM yield identical valuations. When a downside risk measures are employed and the distributions are asymmetric, the proposed algorithm and the three moments extensions of CAPM may yield close, but not necessarily identical, valuations. Our semi-variance results are identical to those of Bawa& Lindenberg, but in contrast to those of Estrada's downside risk extension of CAPM. The impact on valuation of "Mean Variance Preserving Shifts" and asymmetrical information regarding future cash flows are demonstrated by the proposed model.},
 year = {2014}
}

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TY  - JOUR
T1  - Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach
AU  - Yoram Kroll
AU  - Moshe Ben-Horin
Y1  - 2014/12/05
PY  - 2014
N1  - https://doi.org/10.11648/j.ijefm.20140206.14
DO  - 10.11648/j.ijefm.20140206.14
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 319
EP  - 331
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20140206.14
AB  - This paper proposed optimal equilibrium portfolio algorithm for valuing assets. When mean variance criterion is assumed, the proposed procedure and the conventional CAPM yield identical valuations. When a downside risk measures are employed and the distributions are asymmetric, the proposed algorithm and the three moments extensions of CAPM may yield close, but not necessarily identical, valuations. Our semi-variance results are identical to those of Bawa& Lindenberg, but in contrast to those of Estrada's downside risk extension of CAPM. The impact on valuation of "Mean Variance Preserving Shifts" and asymmetrical information regarding future cash flows are demonstrated by the proposed model.
VL  - 2
IS  - 6
ER  -

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Author Information

Yoram Kroll

Ono Academic College-Ono, Israel and Ruppin Academic Center- Hemek Hefer, Israel
Moshe Ben-Horin

Ono Academic College-Ono, Israel

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APA Style

Yoram Kroll, Moshe Ben-Horin. (2014). Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach. International Journal of Economics, Finance and Management Sciences, 2(6), 319-331. https://doi.org/10.11648/j.ijefm.20140206.14

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ACS Style

Yoram Kroll; Moshe Ben-Horin. Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach. Int. J. Econ. Finance Manag. Sci. 2014, 2(6), 319-331. doi: 10.11648/j.ijefm.20140206.14

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AMA Style

Yoram Kroll, Moshe Ben-Horin. Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach. Int J Econ Finance Manag Sci. 2014;2(6):319-331. doi: 10.11648/j.ijefm.20140206.14

Copy | Download

@article{10.11648/j.ijefm.20140206.14,
  author = {Yoram Kroll and Moshe Ben-Horin},
  title = {Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {2},
  number = {6},
  pages = {319-331},
  doi = {10.11648/j.ijefm.20140206.14},
  url = {https://doi.org/10.11648/j.ijefm.20140206.14},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20140206.14},
  abstract = {This paper proposed optimal equilibrium portfolio algorithm for valuing assets. When mean variance criterion is assumed, the proposed procedure and the conventional CAPM yield identical valuations. When a downside risk measures are employed and the distributions are asymmetric, the proposed algorithm and the three moments extensions of CAPM may yield close, but not necessarily identical, valuations. Our semi-variance results are identical to those of Bawa& Lindenberg, but in contrast to those of Estrada's downside risk extension of CAPM. The impact on valuation of "Mean Variance Preserving Shifts" and asymmetrical information regarding future cash flows are demonstrated by the proposed model.},
 year = {2014}
}

Copy | Download

TY  - JOUR
T1  - Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach
AU  - Yoram Kroll
AU  - Moshe Ben-Horin
Y1  - 2014/12/05
PY  - 2014
N1  - https://doi.org/10.11648/j.ijefm.20140206.14
DO  - 10.11648/j.ijefm.20140206.14
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 319
EP  - 331
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20140206.14
AB  - This paper proposed optimal equilibrium portfolio algorithm for valuing assets. When mean variance criterion is assumed, the proposed procedure and the conventional CAPM yield identical valuations. When a downside risk measures are employed and the distributions are asymmetric, the proposed algorithm and the three moments extensions of CAPM may yield close, but not necessarily identical, valuations. Our semi-variance results are identical to those of Bawa& Lindenberg, but in contrast to those of Estrada's downside risk extension of CAPM. The impact on valuation of "Mean Variance Preserving Shifts" and asymmetrical information regarding future cash flows are demonstrated by the proposed model.
VL  - 2
IS  - 6
ER  -

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